FAmodel: Construct a Factor Model

In tsfa: Time Series Factor Analysis

Description

The default method constructs a FAmodel. Other methods extract a FAmodel from an object.

Usage

    FAmodel(obj, ...)
    ## Default S3 method:
FAmodel(obj,  Omega=NULL, Phi=NULL, LB=NULL, LB.std=NULL,
   stats=NULL,  ...)
    ## S3 method for class 'FAmodel'
FAmodel(obj, ...)

Arguments

obj	The loadings matrix (B) in the default (constructor) method. In other methods, an object from which the model should be extracted.
Omega	Covariance of the idiosyncratic term.
Phi	Covariance of the factors.
LB	Factor score predictor matrix.
LB.std	The standardized factor score predictor matrix.
stats	An optional list of statistics from model estimation.
...	arguments passed to other methods or stored in the object.

Details

The default method is the constructor for FAmodel objects. Other methods extract a FAmodel object from other objects that contain one. The loadings must be supplied to the default method. Omega, Phi, and LB are included when the object comes from an estimation method, but are not necessary when the object is being specified in order to simulate. The model is defined by

y(t) = B f(t) + eps(t),

where the factors f(t) have covariance Phi and eps(t) have covariance Omega. The loadings matrix B is M x k, where M is the number of indicator variables (the number of indicators in y) and k is the number of factors.

Value

A FAmodel.

Author(s)

Paul Gilbert

See Also

TSFmodel, estFAmodel

Examples

  B <- t(matrix(c(0.9, 0.1,
		  0.8, 0.2,
		  0.7, 0.3,
                  0.5, 0.5, 
		  0.3, 0.7,
 		  0.1, 0.9), 2,6))

  z <- FAmodel(B)
  z
  loadings(z)

Example output

Loading required package: GPArotation
Loading required package: dse
Loading required package: tfplot
Loading required package: tframe

Attaching package: 'dse'

The following objects are masked from 'package:stats':

    acf, simulate

Loading required package: EvalEst
$loadings
     [,1] [,2]
[1,]  0.9  0.1
[2,]  0.8  0.2
[3,]  0.7  0.3
[4,]  0.5  0.5
[5,]  0.3  0.7
[6,]  0.1  0.9

$Omega
NULL

$Phi
NULL

$LB
NULL

$LB.std
NULL

$stats
NULL

attr(,"class")
[1] "FAmodel"
     [,1] [,2]
[1,]  0.9  0.1
[2,]  0.8  0.2
[3,]  0.7  0.3
[4,]  0.5  0.5
[5,]  0.3  0.7
[6,]  0.1  0.9

tsfa documentation built on Jan. 13, 2021, 10:53 a.m.